However, Moss told TV Guide: "I think that she's forever linked to Don (Jon Hamm) in some way. They're going to have some interaction."

She continued: "I think that as inevitable as her story of leaving [was], I would say that there are [more] stories that are sort of logical in that same sense. But it's not been written yet. So, we'll see."

The actress added that she has "knowledge" of Peggy's future on the AMC period drama.

"I have knowledge of stuff," she said. "[But] I could never really speculate on how to write this show because people do that much better than I ever could."

The sixth season of Mad Men will enter pre-production in July. The show airs on AMC in the US and on Sky Atlantic in the UK.